Mathematical Notes, Vol. 65, No.

~, 1999

Extraction of Subsystems
S. V . A s t a s h k i n

" M a j o r i z e d " by t h e R a d e m a c h e r

System
UDC 517.982.27

O ABSTRACT. In this paper it is proved that from any uniformly bounded orthonormal system { f n ) nC= t of CO r a n d o m variables defined on the probability space (fl, E, P), one can extract a subsystem {fni}i=t majorised in distribution by the R a d e m a c h e r system on [0, 1]. This means that

P ~r

a,/.,(~)

>z

<c

tz[01]: y~a,,,(t)
'i-=--1

>~

where (7 > 0 is i n d e p e n d e n t of rn E I~1, ai E R (i = 1, . . . , m ) and z > 0. K~.Y WORDS: systems of random variables, probability space, Banach space, majorizatlon by the Rademacher system, o r t h o n o r m a l system of random variables, Holmstedt's formula, equivalence principle for distribution functions.

Introduction Suppose that ri(t) = sign sin 21-1~r~ (i = 1 , 2 , . . . ) is the system of Rademacher functions on [0, 1]. In what follows, we shall say that a system (fi}~=l of random variables defined on the probability space (ft, ~ , P) is majorized in distribution by the Rademacher system if there exists a constant C > 0 such that for arbitrary m E N, ai E R (i = 1 , . . . , m ) , and z > 0 we have

(from now on, le[ is the Lebesgue measure of the set e C [0, 1]). Suppose that {f~,},,~176 is a uniformly bounded orthonormal system of random variables on the proba1 bility space (ft, ~ , P). It is well known (see, for example, [1, p. 287 of the Russian translation]) that from such a system w e can extract a subsystem {/,~,}~x that is an Sp-system simultaneously for all p < co. This m e a n s that

~_~ ad,,,
" i=X P

<
" i=1

where Kp > 0 is independent of m E N and ai E R (i = 1 , . . . , m). The main result of this paper is a strengthening, in a certain sense, of the stated assertion. It will be proved that from any uniformly bounded orthonormai system of random variables one can extract a subsystem that is majorized in distribution by the Rademacher system. To prove this result, we need some assertions that are of interest in themselves. First, let us recall a few definitions. If X is a random variable defined on the probability space (ft, E, P), then nlxl(z ) = P{w E fl : [x@)l > z} and X*(t) (t ~ [0, 1]) is a nonincreasing left-continuous rearrangement of the function IxI. As is wen known [2, p. 831, IXI and x * are equimeasurable, i.e., for all z > 0 we have nlxl(z) = n x . ( z ) . The Banach space E of random variables X = X(w) on (f~, Z, P) is called symmetric if 1) from of the fact that ]X[ <

IYI almost everywhere and Y E E , it follows that X E E and =lrt(z) (z > 0) and Y E E , it follows that X E E and llXll = Ilrll.

IlXll < IIYII;

2) f r o m o f t h e fact that nlxl(z ) =

Translated from Matematicheskie Zametkl, Vol. 65, No. 4, pp. 483-495, April, 1999. Original article s u b m i t t e d April 27, I998. 0001-4346/99/6534-0407522.00 (~)1999 K|uwer A c a d e m i c / P | e n u m Publishers 407

In addition to Lp-spaces ( 1 < p < oo), some important examples of symmetric spaces are: the Orlicz space Ls

'lz'ls = i n f { u > O: f n s ( [ X ( u ~ ) l ) d P ( w ) < l },

the Marcinkiewicz space M(~o):
II~llM(~,)=sup { ~ 1

for X * ( s ) d s : O < t _ < l

},

the Lorentz space Ap(~o): fl ~ x/p [[zlls*'P = { ] o ( X ' ( s ) ) " d~o(s)~ . Here S(t) > 0 is a convex continuous function on [0, oo) and ~o(t) > 0 is a concave increasing function on (0,11 An important role in the theory of interpolation of operators is played by the Poetre /c-functional (see, for example, [3]):

/C(t, x ; Eo, E l ) --- inf{ll~olls o + tll~,llE, : z = zo + zx, ~i ~ E i ) ,

where E0 and E1 are symmetric spaces, z E E0 + E1, t > 0. It is readily shown that for a fixed z E Eo + E1 the /C-functional is a concave increasing function of t [3, p. 55 of the Russian translation]. In what follows, the expression F1 F~ indicates that for some C > 0 we have the inequality O-1F~ < F1 < OF2 ; moreover, as a rule, the constant C is independent of all or part of the arguments of F1 and F2. If 1 < p < eo and X is a random variable on (f/~, P), then

IJXllp-~ { L lX(o~)lP } x/p', dP(o~)

but if a = (a,)i=l , then oo
i=1

~l/p

~1. The /C-functional on the Rademacher sums In [41 (see also [51)it was shown that for functions of the form
oo

zCt) = ~
i=1

a,r, Ct)

oo a = ( a ,),--, ~ e2,

(1)

the following relation is valid: /C(t, z ; L ~ , G )

11,~2),

where G is the closure of Loo in the 0rlicz space LN, N(t) = et2 - 1. We obtain a similar relation for the E-functional /C(t, z ; L1, Loo). T h e o r e m 1. The following relation is valid:

(2)
U

where the constants are independent of a = (ai)i=l and 0 < u < _ <1.
408

P r o o f . For a = (a,)i=l e t2 we set taa(t) = K:(t,a; the form (1) the following inequalities hold:

el,e2). In [6] it was shown that for functions of

(3) (4)

,~l.l(~o(t)) _< 2e-e/~

nl.l(A-*~p~(t)) A - l e -A'2 ' >

where A > 1 is independent of a and t > 0. It follows from inequality (3) by the definition of the rearrangement substitution s = 3e -t2/2 that 0<s<l. Hence

z*(3e -t2/2) < 9,(t) or after the

/o 9 "(s)d. _< ~ i" ta~(inlP ! ) ds,

On the other hand, inequality (4) yields

O<ugl.

**(s) > A-l~,~(A-'/21nl/2(A-ls-X)),

Since the function

0 < s < A -x.

~a(u) is concave, we have

0<t<l.

Therefore, for all 0 < u < 1

V. /o z*(s)ds _>/o"" z*(s)ds _>3-'A-S/Z /o( In*~'--t3) at.

Thus we have

z*(s)ds

~ lnX/~ 3 ds,

(5)

9 O0 where the constant is independent of a = (a,)i=l and 0 < u _< 1, Let us now prove that

(6)
First, suppose that u = 3 -k , k E N. Since
oo 3 -i

~a(t) is concave, we can write

~'(ln1/2 3 )

:~fa
i=k -i-t

ds

Z
i=k

Ta(~

3)3-i 2
i=k

T~(v/i)3-i"

(7)

At the same time, we have

oo k 3 J

T~(v/i)3 -i ~
i=k

T~(v~3J/2)3-kaJ.

j=0

i-=-k3J

.i=0

Since the last s u m is greater than T~(v~)3 -k and less than

co

~(v~)3-k

Z 3J/2+k-k3i < ~ ( v / ' k ) 3 - k Z 31-J/2 j=o j=o

<- 6X/3~a (V~)3 -k ,

409

it follows that for u = 3 -k , k E N, relation (7) implies (6). If u E (0, 1] is arbitrary, choose k E N so that 3 -k < u < 3 -k+l . Then, since the functions in question are concave, we have

[(

~Oa

h11/2s3 d s

) /o

a-k

and relation (6) is proved. It follows from (5) and (6) that

In view of of the well-known relation (see, for example, [3, p. 142 of the Russian translation])

)C(u,~;L~,L~)___

//

~'(~)d.,
J

the last relation is equivalent to (2), and the theorem is proved.

[] is given by the well-known

A sufficiently good approximation to the function ~a(t) - ]C(t, a; l l , s Holmstedt formula [7]

[t2l
i= l

oo i=[t2]-Srl

1/2

where (a*) is a nonlncreasing rearrangement of the sequence (]ai[), and [z] is the integral part of the number z . Thus we obtain the following result. C o r o l l a r y 1. The following relation is valid:

Ei=I airi(t),

dt x ~

~.= ai + hll/2 ~

i-[1-

]+1

(a'):

OQ where the constants are independent of a = (ai)i=l E ~2 and 0 < u <_ 1,

R e m a r k 1. Since for arbitrary E0, Et and u > 0 we have

lC(u, z ; Eo, Ei) = u l C ( 1 , z ; E1, Eo) ,

it follows from relation (2) that )c(u, z ; L = , n l ) vo(ln 1/2 3u), or equivalently ) c ( u , z ; L = , L 1 ) va(lnX/2(i + u'~)), u > 1. But if 0 < u < 1, then it follows from the definition of the )C-functional, as well as from the inequalities HZ{{1 _~ [[Z[[oo, [Jail2 _< [[a[[1, and I12~[]1<~ Hall2 <_ V~I[zH1 (Khinchine's inequality for the L i - n o r m with a constant; see [8]) that u > 1,

)C(~, 9 L ~ , L~) ~ll~ll~ ~llalt., Va(~) vo(lnl/2(1 +

As a result, we obtain the relation

~)).
(9)

]C(u,x: L ~ , L i )
which is now valid for all u > O.

K:(lnl/2(1 + u 2 ) , a ; ti,g2),

410

R e m a r k 2. In exactly the same way, for functions of the form (1) we can prove that
lC(uz;Lp,Lo~)
U

a;~l,t2), + u2), a ; t l , t2),

0 < u < _ 1, u > 0,

(2') (9')

/C(u, z ; i ~ , Lp)

where 1 < p < oo (naturally, the constants of these equivalences depend on p). This implies the following result. C o r o l l a r y 2. The following equivalence is valid:

9 OO where the constants are independent of a = (a,)i=l and 0 < u < 1.

On comparing distribution functions

In what follows, we shall need a version (proved in [9]) of the equivalence principle for distribution functions. Its proof is exactly the same as that of the principle itseff (see [9]). P r o p o s i t i o n 1. Suppose that X > 0 and Y >_ 0 are two random variables defined, in general, on 9 O0 . different probability spaces, and {X,}i=x and {I~}i=I are independent "copies" of X and Y , respectively,

(i.e., nx,(z) = nx(z) and n~(z) = ~rCz)). We ~,sume ~at

I1,~=~111< elll
-... --

i=l,...,n

max X'II1,

(10)
(11)

II m a x
i=1

,...,n

Xil[ 2 < C~IIi = 1m ,a. .xn -. ,

x, ll~,

where C1 > 0 and C2 > 0 are independent of n E N. Then there ezists a C > 0 depending only on C1 and C2 such that for all z > 0

Let us show that conditions (10) and (11) can be stated using the notion of a E-functional. P r o p o s i t i o n 2. We assume that {X,}i=I is a sequence of independent "copies" of a random variable X > _0 on the probability space (12, ~ , P) 1 <_ p < oo. _ Then for any n E N

II max x, ll~ n ~ ( ~
i=1 ,...,n

X'; L~[O, 1],L~[O, 1])

where the constant is independent of X and n.

P r o o f . Since the Xi (i = 1 , 2 , . . . , n) are independent, for X = maxi=l ..... ~ Xi we have IIXIIp = ~ . . . p ~ m a x { X ' ( w x ) , ... , X ' ( w ~ ) } d P ( w x ) . . . d P ( w ~ )

= n f... ~x,~,)<~,~,X~(~,~)dP(~)...dP(~,,)dP(,,x)
"It

[ X P ( w x ) ( P { w : X(w) <_ X ( w l ) } ) " - ' d P ( w l ) = n [ X"(wl)(1 d fl df~

nx(X(t.Mi)))

n-1

dP(wl).
411

Since the functions X(wx) (wa E l'l) and X * ( t ) (t E [0, I]) are equimeasurable, and since n x ( X ' ( t ) ) = t for m o s t -" t E [0, 11 [2, p. 831, we obtain
IIXIg =
n

(X*F(t)(1

n x ( X ' ( t ) ) ) "-~

dt = n

(X')'(t)(1

- t) '~-~ dr.

The last equality implies

HxII, = Ilx*ll^,,..).
where Ap(~,,) is the symmetric Lorentz space constructed for the function ~n(t) = 1 - (1 - t ) " . Let us show that for any n E N and t E [0, 1] we have

(12)

e-'~,,(t)< ~,,(t)<_~(t),
where Ib,,(t) = rn:n{l, nt}.
Since ~o:(t) = e:(t) = i, w e can a s s u m e that n _> 2. If

(13)
~o,,(t) <_ i -- r and

t > t/n, then

~.(t) > p.(1/n) = 1- (1- i/n)- > 1- e-: _> r

0 < t < l / n , consider the function _

(clearly, (1- I/n)" t i/e). :n the case

f.(t)=

~,~(t) - ~,,(t) = nt - 1 + (1 -- t)".

Since fn(0) -- 0 and f~(t) = n - n ( t - t ) n - ` >_ O, we have f,,(t) _> 0, which is equivalent to the right-hand side of inequality (13) in the case 0 < t < 1 / n . At the same time, for the function

g.(t)=
the following relations axe valid:

r
e

~o.(t) --- n_f~_ 1 + (I - t)'~

e

,.(0)-" O,

g~(~) : 71_--TL(I.--~).--I~.(: --(1- ,).--I~ ~ .(: -- (I- :~'~-'~<_0 / x nil e \e ~e

(cl~ly, (1 - 1/=)"-: ~ i/e). Therefore, 9-(0 < 0, which is equi,~ent to the left-hand side (13) for
0 < t < l / n ; the proof of this relation is thus complete. It follows from (13) that for an arbitrary measurable function z(t) on [0, 1]

lllzllA(~,.) <_ Ilzll^(~,.) < II=lls(~.)Hence, in view of (12) and the formula for the K-functional [3, p. 142 of the Russian translation], we have

IlXllp IIX*ll,,(r

{/o"
I'

(x'(t))'

dt

}""

n/C

, X * ; Ln, L~o ,

where the constant is independent of X and n.

[]

The following theorem is a consequence of Propositions 1 and 2. T h e o r e m 2. Suppose that X >__0 and Y > 0 are two random variables defined, in 9eneral, on different probability spaces. We assume that

/:

Y ' ( s ) d . <_ c:

x*(s)ds,

o < t <_ 1,
0 < t <_ 1.

(14)
(15)

:o (X'(s))2 ds < (72

X*(s)ds

Then there ezists a O > 0 dependin 9 only on C1 and (72 such that for all z > 0

,~y(z) < C~x _

412

C o r o l l a r y 3. Suppose that E is a symmetric space on [0, 1], z = z(t) and y = y(t) are measurable (on [0,1]) /unctions for which conditions (14) and (15) are valid. Then if z e E , then y E E and IIulIE < 6'II~IIE, where C > 0 depends only on Cx and C2. P r o o f . Using Corollary 2, we find that for all z > 0

,~t,l(~) <_ c',~l~ I ~

or equivalently y*(t) < C'~rc, z*(t) (t E (0, 11), where o'rz(t) = z(t/T) is the dilatation operator. Since a~is bounded in any symmetric space and II~.IIE-.~ < m~x{1, r} [2, p. 133], it foUows that IlYlI~ -< CII~IIE, where C = C'max{1,C'}. [] R e m a r k 3. It is e~slly verified that condition (15) in Corollary 3 is essential. Moreover, if E is a symmetric space and not the interpolation space between the spaces Lt and L ~ , then we can always find a function z E E and a linear operator T boundedly acting into Lt and Lr such that y = Tz ~ E [2, pp. 130, 166]. We now apply T h e o r e m 2 for the case in which
x(t) =

15 ,I
a~r,(t ,
i=1

r(~) =

ad~(~

,I

,,~ e N,

a~ e R ,

where the r~(t) are Rademacher functions on [0, 1], and the y~(~,) are r a n d o m variables on some probability space (12, ~., P).
9 OO T h e o r e m 3. Suppose that {fi}i=l is an orthonormal system of random variables on the probability space (12, ~ , e ) , I/d~')l -< M , w e 12, i = 1,2, . . . . The/ollowing conditions are equivalent: . 1) for an arbitrary sequence a (a,)i= 1 E t2, the/unction f = E~=I aifi belongs to LN, where

N(t)

= e t2 - 1;

9 "~ 2) there ezists a constant C > 0 independent of rn E N, a = (a,)i=l , and t E [0, 1] such that

i ' (E

aifi

_ (s) ds < Clt/C inl/2 ~ , a ; s 1 6 3 3

(16)

3) the system (fi}~=x is majorized in distribution by the Rademacher system. P r o o f . First, let us prove the implication 1) ,~ 2). As is well known [10], the Orlicz space LN coincides with the Marcinkiewicz space M(~o), where ~o(t) = t log~/2 (2/t). Therefore, by the definition of the norm in M(~o), we have

aifi

s)ds < Cttlog~/2 -[ [Jail2,

(17)

where Ct is independent of a = (ai)i~176E s and t E [0, 1]. Suppose that a~ = tai~ I (k = 1, 2 , . . . ) is a nonincreasing rearrangement of the sequence (la~l)~%a. In view of inequality (17) and of the assumptions of the theorem, for an arbitrary j E N we obtain

fO2-J (Eat/i)(..q)d,.q <~f02 ' (Eat.ft,)(8)ds

i=l k=l

+ f o 2 "I

k=j+l
E

ai, fi . (s)ds
la~'le

< - 2 - J M E I ai'l+C12-jl~

k=l

k=j+l

<-2-Jmax(M,2Cl'(~-~a*k+V~(
-- k = l

(a~)2) 1/2)

k=j+l
413

<_ 2-Jc,~ m ~ { M , 2C~}PC(~/j, a ; el, e~),

where the last inequality follows from Holmstedt's formula (8). Thus relation (16) is satisfied for t = 2 - j ( j E N). Since the functions in question are concave, this relation is also valid for all t E [0, 1]. The implication 2) ==~ 3) follows from Theorem 1, Corollary 2, and Theorem 2. Finally, we assume that condition 3) is satisfied. It is well known (see, for example, [11, p. 342 of the Russian translation]) that the function g = Y ~ I airi belongs to LN if a (a,)i= 1 E s By assumption, the following inequality is valid for the function f = ~ ' ] ~ aifi: nlfl(Z ) < Cnlg I

($)

Therefore, since the space LN is symmetric, we find that f E L N as in the proof of Corollary 3, and the theorem is thereby proved. I-3 We need the following notation (for details, see [12, Chap. 1]). Suppose that (f~, E, P) is a probability space, fit is a ~,-subalgebra of the a-algebra ~3. If f : f~ --+ R is a random variable, then E[flg~ ] is the conditional expectation of f with respect to ~t. If fit is the ~r-subalgebra generated by the r a n d o m variables gl, g 2 , - . - , gn, then the conditional expectation with respect to t h e m will be denoted by E[flg~,... , ga]. In particular, E[f] = J~ f(oJ) dP(w). Let us recall t h a t the sequence {fn}~=] of random variables on the probability space (12, E, P) is called multiplicative if for any k E N and nx < n2 < -.- < nk

E[f,,,f,,,.-'I,,,]

= O.

By T h e o r e m 3 and Corollary 3 from [13], we obtain the following result. C o r o l l a r y 4. If { f i } i ~ l is a uniformly bounded multiplicative orthonormal system on (12, ~3, P), then it can be majorized in distribution by the Rademacher system. R e m a r k 4. In [13] it was shown that under the conditions of CoroLlary 4 the vector (f~, f2, . - . , f~) has the same distribution as the conditional expectation E[(gl, g 2 , . . . , g,,)]9~] of the vector (gz, g 2 , . . . , g~), which has the same distribution as the vector ( r l , r 2 , . . . , r , ~ ) . This does not imply the assertion of Corollary 4, since the operator of the conditional expectation can even be u n b o u n d e d in a symmetric space ff it is not an interpolation space between Lx and Loo (see, for example, [14, pp. 128-129]). w Isolation of the exponentially integrable subsystems

In the proof of the following assertion an idea from [15, L e m m a A] is used. L e m m a . Suppose that {f,~}~=l is a sequence of random variables defined on the probability space (12, V., p), If~('~)l < M , w E 12, n E N, and f,~ --+ 0 weakly in L2(12). Then there ezist (f,~,}~l C {f,~}~=l and a sequence of random variables {gk}F=l such that 1) Ig~@)l < 2 M , to E f~, k E N; 2) E[gklg~,... ,gk-1] = 0 almost everywhere on 12;

3) l l f , , , - gkllk <_ 2-k, k E N.

P r o o f . Let us prove this assertion by induction. Since the f,~ tend to zero weakly in L2(~'/), we can find an nl such that

_< g.
There exists a finite-valued function hi for which Ihl(w)l < M and

(18)

h l] _<
414

(19)

We set gl = h, - E[hl]. T h e n E[g,] = 0 and Ig,(~)l <_ 2 M . Moreover, it follows from inequalities (18) and (19) t h a t

IIf,~l - gxllx _< E[If,,,, - h~l) + E[Ih~ - gxl] = E[If,~, - hll] + IE[hx]l

< 2E[lf,,, - h,I] + IE[f,,,]l <_ ~.

We a s s u m e that k > 1 and that the obtained values f , ~ , , . . . , f , ~ , _ l gl , . . - , gJ,-1 are such that for all s = 1 , . . . , k - 1 a) Ig,(~)l < 2 M ; b) go is a constant on the sets c i C 12, i = 1, "" 9 , t" , gi I l e j (~ = s -(~ -(~ "" _(o-1) moreover, e i lie entirely in the sets of constancy e i -(') , i = 1, ... 1 < nl < "." < n~-x and

~ ,

_( (i # j ) a n d Ui ei s ) = 12; Z s - - 1 , of the function g,-1 ;

c) E[g, l g l , . . . , g,-l] = 0 almost everywhere on a;

d) IIf,,. - goll0 < 2 -~ 9 T h e n we o b t a i n the next pair of values f,~, and gk satisfying the same conditions. weakly in L2(12), there exists an nk > nk-1 such that for all i = 1, ... , i k - 1 we have
<

Since f,~ --+ 0

--T

xi

/"

(20)

Suppose t h a t hk is a finite-valued function, Ihk(~,)l < M , whose sets of constancy are all contained _(k-l) entirely in the sets e i ( i = 1 , . . . , i t - l ) , and moreover for all i = 1 , . . . , i t - 1 we can write

f~,._,~ ]f,~,,(ta)-hk(~)lkdP(w)<

(~)~P(e~k-x)).

(21)

Set gk = hk - E [ h k l g l , . . . , gk-1]. T h e n E [ g k l g l , . . . , gk-1] = 0 ~h-,,ost everywhere on 12 and we have _(k--l) Ig~(~)] < 2 M . Since for w e r and a n arbitrary random variable f o n 12 we can write

E[flg,,
in view of (21), it follows that

. . . , w,-,](a,)=

P(e~l'-l)) -z f ~ , - t , f(u)dP(u),

IE[.f,,, - h k l g , , . . . , g k - l ] l
<- i = 1 max.. - x ..... ,

< - i=1maxi,._, P(e~k-x)) - ' f I~,_,, If-, (u) - hk(u)l dP(u) .....
( f e~_,,I f . , (u) - h~(u)l k dP(u) ) , , k < --~ 2_k

P(e~k-'))-'"

Therefore, using (20), we obtain

2-k+1

IE[hklgl, ..., gk-x][ _< IE[f,,,, -

hklgl,...,

gk-x]l + IE[f,,,Ig~, ..., gk-,]l

_<

Combining this with inequalities (21), we find that

2-k

IIf~, - gkllk ~ IIf~, -- hkllk + Ilhk - 9kllk ~ - -3 + IIE[hk191, . . . , gk-1][Ik _< 2 - k ,

and the p r o o f of the l e m m a is complete. []

The following assertion was stated without proof by V. F. Gaposhkin [16, T h e o r e m 1.3.2]. The proof was c o m m u n i c a t e d to me ky the a u t h o r and is given here with his permission.
415

T h e o r e m 4. Suppose that {f,~},~~176is an orthonormal sequence of random variables on the probability space (ft, ~ , P), 1s <_ M , w 9 fl, n 9 N. There ezists a subsequence {f,,}i~ C {f,}=~176 such that a 9 O0 for any sequence a = (a,)i=~ 9 e2 the function f = ~-]~=~ air,,, belongs to L N , where Ltr is the Orlicz space constructed for the function N ( t ) = e P - 1.
oo r Proof. Since f,~ -+ 0 weakly in Lz(12), by the lemma there exist {fn,}i=l C {f,~},~~162 and {g k }k=l 1 such that Igk(,~)l < 2 M , e[gklg~,..., g~-l] = 0 almost everywhere and

Ilg~= - f-,.

Ilk _< 2 -k,

k 9 N.

(22)

Note that the sequence {Ok} is multiplicative. In fact, since for arbitrary kl < . . . < k,,, (see [12, p. 13 of the Russian translation])

E[gk,,,gk,'''gJ,,,,_, Ig*,,..., gk=_,]

it follows that E[gk,--"

gk,"'gk=_, E[g~=Igk,, ..., gk=_,] = O,

gk,,,_tgk=]

= L E[g~,,,gk,."gk,,,_, Igk, "" "gk,,,_,] d P ( w ) = O.

In view of [13, Corollary 3], for multiplicative systems we have

bkgk
--

II
P

< Cv~II(bDII=,

where C = C ( M ) > 0 is independent of (b~) 9 12 and p 9 (1, oo). Therefore, using (22), for f = ~-,~a aif,~, and arbitrary k 9 N we obtain
k oo oo k

+
i=k+l

4
" i=k+l

(s., - 9,)'
k

+ Z
IIi=k+ 1

~
Ilk

_< M v ~
-- i=1

a2

E
i=k+l

a2

E
i=k+l

IIs

gill,

+ cv'~
" i=k+l

a2
--

<

(C k M + 1)v'~llall2.
oo

The expansion

e~=2 = ~
k=o

~ z 'k,

u>O,

yields
o~

L (e ~11(~')12 - 1 ) d P ( w ) = E -~. fi l If(w)l 2k dP(w) ~ uk

k=l

< E(C
k=l

+ M + 1) 2k uk ~(2k)~llall~ k.

Since this series is convergent for 0 < u < (2e)-1(C + M + 1)-2(llalb) -2 , it follows that f belongs to the Orlicz space L N , N ( t ) = e t2 - 1, and the theorem is proved. [] Theorems 3 and 4 imply the main result of the paper.
416

T h e o r e m 5. Suppose that {f~}.~176 is an orthonorrnal sequence of random variables on the probability a

s/ace (n, E, P), lf,(~)l _< M , ,., E n, n E N.

Then from {fn}~=x we can eztract a subsequence {f,,}~=l C {fn}n~=l that is majorized in distribution by the Rademacher system. This means that for some C = C ( M ) > 0 independent of m E N, a = (a,)i=x , and z > 0 the followin# relation is valid:

P (,.,eI~:
--

a~i,~,(u.,) > z

_<cO t e [ O , l ] :
'

>
i=1
'

In conclusion, the author wishes to express his gratitude to V. F. Gaposhkin for advice on questions related to the last part of this paper. References
1. 2. 3. 4. 5. 6. 7. 8. 9. 1O. 11. 12. 13. 14. 15. 16. S. Kaczmars and H. Steinhaus, TheoEie dex Orthogonalrelhen, Waxsaw-Lvov (1935). C. G. Krein, Yu. I. Petunin, and E. M. Semenov, Interpolation o[Linear Operators [in Russian], Nauka, Moscow (1978). J. Bergh and J. L~fstrSm, Interpolation Spaces. An Introduction, Springer-Verlag, Berlin-Heidelberg-New York (1976). S. V. Astashkin, ~On the interpolxtlon of subspaces of symmetric spaces generated by the Rademacher system," Izv. RAEN. Set. MMMIU, 1, No. 1, 18-35 (1997). S. V. Astashkin, ~Series in the Ra(lem~g:her system that axe "close to" Loo ," Funktsional. Anal. i Pri]ozhen. [Functional Anal. Appl.] (to appear). S. Montgomery-Smlth, WThe distribution of Rademacher sums," Proc. Amer. Math. Soc., 109, No. 2, 517-522 (1990). T. Holmstedt, ~Interpolation of quasi-normed spaces," Math. Scand., 26, 177-199 .(1970). S. J. Szarek, "On the best constants in the Khlnch;-e inequallty," Stuclla Math., 58, 197-208 (1976). N. H. Asmar and S. Montgomery-Smlth, ~On the distribution of Sidon series," Ark. Mat., 31, No. 1, 13-26 (1993). Y~. B. Rutitsldl, "On -ome ,-I,~-,~s of measurable functions," Uspekld Mat. Nauk [Russ/an Ma~h. Surveys], 20, No. 4, 205-208 (1965). A. Zygmtmd, T~gonometrir Series, VoL 1, Cambridge Univ. Press, Cambridge (1959). R. Elllott, Stochastic Calculus and Applic_~ons, Springer-Verlag, Heidelberg (1983). J. Jakubowsld and S. Kwapien, ~On multlpllca.tlve systems of functions," Bull. Acad. Polos. Scl. Set. Sci. Math., 27, No. 9, 689-694 (1979). J. Lindenstrauss and L. Tsaf6.ri, Class/cal Banac.h Spaces, Vol. 2, Springer, Berlin (1979). V . F . Gaposhkin, ~Convergence and limiting theorems for subsequences of random values," Teor. Veroyatnost. i Prhnenea. [Theory Probab. Appl.], 1T, No. 3, 401--423 (1972). V. F. Gaposhkin, "Gap series and independent functions," Uspeichi Mat. Nauk [Russian Math. Surveys], 21, No. 6, 3-82 (1966).

SAMARA STATE UNIVERSITY B-mail address: astnshknOssu.samaxa.ru

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